Simple: Create trading Signal

In PairTrading: classical pair trading based on cointegration in finance

Description

Create trading signal

Usage

Simple(spread, spread.entry)

Arguments

spread	the spread of stock pair. an xts object
spread.entry	Entry level of spread. single scalar.

Details

This function generates trading singal by spread and it's threshold.

Author(s)

Shinichi Takayanagi, Kohta Ishikawa

Examples

#load library
library(PairTrading)

#load sample stock price data
data(stock.price)

#select 2 stocks
price.pair <- stock.price[,1:2]["2008-12-31::"]

#estimate parameters for back test
params <- EstimateParametersHistorically(price.pair, period = 180)

#create & plot trading signals
signal <- Simple(params$spread, 0.05)

PairTrading documentation built on May 2, 2019, 6:11 p.m.